I have the following method
   -(NSMutableArray *) getPaises {
     NSMutableArray * paises;
     paises = [[NSMutableArray alloc] init];
     while( get new row         
        As epatel said, you don't need to release that particular string. If you wanted to be more proactive, you could do this instead:
-(NSMutableArray *) getPaises {
    NSMutableArray * paises;
    paises = [[[NSMutableArray alloc] init] autorelease];
    while( get new row ) {
        NSString *aPais =  [[NSString alloc] initWithUTF8String:(char *)sqlite3_column_text(compiledStatement, 0)];
        [paises addObject:aPais];
        [aPais release];
    }
    return paises;
}
In summary:
[[NSString alloc] initWith...] -> You must release or autorelease.
[NSString stringWith...] -> No need to release.
-- Edit: Added autorelease for paises, as you are returning it. When you return an object, always autorelease it if you have alloc&init'd it.
stringWithUTF8String: returns an autorelease string which will be released automatically by Cocoa in the next eventloop. But the string is also retained in the array when you do addObject:...so as long as it is in the array it will be retained.